On the Historical Exchange Rates Euro/US Dollar

Fernando Vadillo ()
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Fernando Vadillo: University of the Basque Country (UPV/EHU)

Computational Economics, 2016, vol. 48, issue 3, No 5, 463-472

Abstract: Abstract In this paper we study the exchange rate between the Euro and the US Dollar between January 3, 2003 until September 18, 2014. First we research if these exchanges follow a geometric Brownian motion, i.e. it is that future exchange rates are independent of past movements; our results are consistent with this assumption and then we make several estimates of the volatility. In the second part of the paper, we study possible periodic motions: first using discrete Fourier transform and later wavelet analysis. The techniques used are easy to understand and express, and can be implement in a transparent way by means of a few lines of code in Matlab. They can be used to understand behaviors that would seem chaotic.

Keywords: Exchange rate Euro-Dollar; Black–Scholes model; Volatility; Fourier analysis; Wavelet analysis; 92B05 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s10614-015-9533-4

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